The Tidal Group : M2 SP500 Emini Futures Program

archived programs
Year-to-Date
N / A
Apr Performance
-0.63%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
12.58%
Sharpe (RFR=1%)
0.29
CAROR
3.91%
Assets
$ 224k
Worst DD
-17.21
S&P Correlation
-0.21

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
M2 SP500 Emini Futures Program -0.63 -2.04 - -4.90 0.42 - - 13.64
S&P 500 0.27 6.45 - -0.97 29.28 - - 37.86
+/- S&P 500 -0.90 -8.49 - -3.93 -28.86 - - -24.22

Strategy Description

Summary

Systematic SP500 Emini Futures Trading strategy. Grey box. Trades 1 daily. The returns reflect on this site are proforma returns based on 2% and 25% performance fee.

Ms. Blaisdell started her career in finance at the University of Colorado at Boulder in September 1997.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.00%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1750 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
17.84%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Systematic SP500 Emini Futures Trading strategy. Grey box. Trades 1 daily. The returns reflect on this site are proforma returns based on 2% and 25% performance fee.

Ms. Blaisdell started her career in finance at the University of Colorado at Boulder in September 1997. While attending college, Ms. Blaisdell had a three year student internship with Charles Schwab in Denver from November 1997 to December 2000. Ms. Blaisdell was the first ever intern to take her Series 7 & 63 at Charles Schwab. In the summer of 2000, Ms. Blaisdell interned as a non-employee at Hull Trading Company, a Division of Goldman Sachs & Company and later joined them full time in January 2001 as an assistant trader in the S&P500 futures and options on futures trading pits at the CME and CBOE. Hull Trading Company was an independent algorithmic trading firm and electronic market maker that was known for its quantitative and technology-based trading strategy. Hull Trading Company was purchased by Goldman Sachs in 1999. Ms. Blaisdell became a trader in the S&P 500 options and OEX pit at the CBOE in September 2002 prior to moving upstairs in New York City to trade a one hundred million aside delta one and volatility trading book for Goldman Sachs in August of 2003. Taylor Blaisdell co-founded TTG in March of 2012 when it was a New Jersey LLC. Ms. Blaisdell became a registered associated person and principal of the Advisor on May 20, 2015. Ms. Blaisdell has been in finance for over 20 years and prior to founding TTG, she served as a financial consultant in trading and risk management to Hedge Funds and Private Wealth Managers. As a consultant, Taylor provided insight in portfolio risk management, systematic trading and market volatility to several 100 million dollar clients; at one point consulting on over $1 billion in assets. Through her consulting experience and in conjunction with her 5 quantitative and trading background, Taylor developed a systematic futures trading program which is currently employed today in the Advisor’s program. Prior to being a consultant, Ms. Blaisdell became employed by Goldman Sachs from January 2001 to April 2004. While with Goldman Sachs & Co., which is a registered as a futures commission merchant and a Member of NFA, Ms. Blaisdell was registered as an associated person from October 2003 through April 2004. Ms. Blaisdell also held a series 7 license and was a registered representative with Goldman Sachs & Co.

Investment Strategy

M2 is an actively-managed fully systematic model that positions long or short once daily depending on the model signal. In addition to daily positioning the model also adjust exposure from 10-20% based on conviction. M2 seeks capital appreciation during periods of low risk, and capital preservation during periods of high risk. The signal is generated by a proprietary model that measures market risk and velocity of the market in conjunction with other proprietary financial measurements.

Risk Management

Designed to capitalize on capital preservation in times of higher volatility and to capitalize on capital appreciation in lower volatility environments. THIS TRADING ADVISOR PREVIOUSLY HAS NOT DIRECTED ANY ACCOUNTS. Although the Advisor has not managed accounts, one of the Advisor’s Trading Principals has Power of Attorney over one account. This one account started trading in January 2013 with $50,000 and in July 2014, the account increased the trading level to $1,000,000. In October 2015, the account withdrew approximately $700,000 from the account unrelated to the performance in the program. Ms. Blaisdell did not charge a management fee however did charge a 50% incentive fee. Since the fee structure is not in line with the fees that are being charged in this disclosure document, the Advisor has adjusted the performance to reflect a 1% management fee and a monthly incentive fee of 15%. The account presented in the Performance Capsule was funded with actual funds and no notional funds. The unaudited Rates of Return represented in the following Capsule and all performance data relating to the Rates of Return have been calculated on an accrual basis of accounting in accordance with Generally Accepted Accounting Principles.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-17.21 9 4 3/1/2013 12/1/2013
-12.15 9 - 7/1/2015 4/1/2016
-8.48 7 5 4/1/2014 11/1/2014
-0.70 1 1 4/1/2015 5/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
24.65 4 1/1/2014 4/1/2014
13.66 3 1/1/2013 3/1/2013
9.40 2 3/1/2015 4/1/2015
9.01 2 6/1/2015 7/1/2015
3.52 1 8/1/2013 8/1/2013
2.80 2 12/1/2014 1/1/2015
1.40 1 2/1/2016 2/1/2016
0.87 2 11/1/2015 12/1/2015
0.67 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.78 4 9/1/2013 12/1/2013
-10.37 4 4/1/2013 7/1/2013
-8.55 3 8/1/2015 10/1/2015
-4.77 3 5/1/2014 7/1/2014
-4.53 3 9/1/2014 11/1/2014
-3.39 2 3/1/2016 4/1/2016
-2.78 1 1/1/2016 1/1/2016
-1.02 1 2/1/2015 2/1/2015
-0.70 1 5/1/2015 5/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable45.0047.3748.5782.7686.9694.12
Average Period Return0.381.171.825.658.1211.46
Average Gain3.527.229.657.379.8912.37
Average Loss-2.18-4.28-5.57-2.61-3.67-3.11
Best Period12.0719.8120.0817.0031.0726.97
Worst Period-5.95-9.98-13.47-5.90-4.69-3.11
Standard Deviation3.637.159.315.438.979.02
Gain Standard Deviation2.935.316.134.108.238.47
Loss Standard Deviation1.492.914.332.570.90
Sharpe Ratio (1%)0.080.130.140.860.741.05
Average Gain / Average Loss1.611.691.732.822.703.97
Profit / Loss Ratio1.321.521.6413.5517.9863.54
Downside Deviation (10%)2.204.506.523.454.875.00
Downside Deviation (5%)2.003.885.301.781.891.26
Downside Deviation (0%)1.943.725.011.451.350.76
Sortino Ratio (10%)-0.01-0.01-0.100.190.110.24
Sortino Ratio (5%)0.150.240.252.623.507.49
Sortino Ratio (0%)0.200.310.363.916.0115.17

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 4.24 7/2015
Stock Index Trader Index Month 5 3.51 6/2015
Stock Index Trader Index Month 5 3.24 4/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.